ASML Stock Price Analysis
Project of Time Series Analysis for Economic and Financial Data
2026-01-28
Project Overview
- Objective: Time series analysis of ASML Holding NV’s Adjusted Closing Prices
- Data Source: Yahoo Finance
- Period:
- from: 2000-01-01
- to: 2025-12-31.
Adjusted Closing Prices
Key Observations:
- The series is clearly non-stationary.
- Visible upward trend, especially post-2017.
- Variance increases with price level.
Log-Returns Visualization
Squared and Absolute Returns
Testing for ARCH Effects and Asymmetry
Engle’s ARCH-LM Test for Volatility Clustering
| 5 |
870.6743 |
<0.001 |
Reject H0 |
| 10 |
983.5287 |
<0.001 |
Reject H0 |
| 20 |
1086.0646 |
<0.001 |
Reject H0 |
Engle-Ng Tests for Asymmetry (Leverage Effect)
| Sign Bias |
0.6959 |
0.487 |
Symmetry |
| Negative Sign Bias |
0.3047 |
0.761 |
Symmetry |
| Positive Sign Bias |
0.1086 |
0.914 |
Symmetry |
| Joint Effect |
1.6374 |
0.651 |
Symmetry |